lda.m

非线性降维方法 可以应用于高维数据的机器学习

function [mappedX, mapping] = lda(X, labels, no_dims)
%LDA Perform the LDA algorithm
%
%   [mappedX, mapping] = lda(X, labels, no_dims)
%
% The function runs LDA on a set of datapoints X. The variable
% no_dims sets the number of dimensions of the feature points in the 
% embedded feature space (no_dims >= 1, default = 2). The maximum number 
% for no_dims is the number of classes in your data minus 1. 
% The function returns the coordinates of the low-dimensional data in 
% mappedX. Furthermore, it returns information on the mapping in mapping.
%
%

% This file is part of the Matlab Toolbox for Dimensionality Reduction v0.4b.
% The toolbox can be obtained from http://www.cs.unimaas.nl/l.vandermaaten
% You are free to use, change, or redistribute this code in any way you
% want for non-commercial purposes. However, it is appreciated if you 
% maintain the name of the original author.
%
% (C) Laurens van der Maaten
% Maastricht University, 2007

    if ~exist('no_dims', 'var')
        no_dims = 2;
    end
	
	% Make sure data is zero mean
    mapping.mean = mean(X, 1);
	X = X - repmat(mapping.mean, [size(X, 1) 1]);
	
	% Make sure labels are nice
	[classes, bar, labels] = unique(labels);
    nc = length(classes);
	
	% Intialize Sw
	Sw = zeros(size(X, 2), size(X, 2));
    
    % Compute total covariance matrix
    St = cov(X);

	% Sum over classes
	for i=1:nc
        
        % Get all instances with class i
        cur_X = X(labels == i,:);
	
		% Update within-class scatter
		C = cov(cur_X);
		p = size(cur_X, 1) / length(labels);
		Sw = Sw + (p * C);
    end
    
    % Compute between class scatter
    Sb       = St - Sw;
    Sb(isnan(Sb)) = 0; Sw(isnan(Sw)) = 0;
	Sb(isinf(Sb)) = 0; Sw(isinf(Sw)) = 0;
    
    % Make sure not to embed in too high dimension
    if nc <= no_dims
        no_dims = nc - 1;
        warning(['Target dimensionality reduced to ' num2str(no_dims) '.']);
    end
	
	% Perform eigendecomposition of inv(Sw)*Sb
    [M, lambda] = eig(Sb, Sw); 
    
    % Sort eigenvalues and eigenvectors in descending order
    lambda(isnan(lambda)) = 0;
	[lambda, ind] = sort(diag(lambda), 'descend');
	M = M(:,ind(1:min([no_dims size(M, 2)])));    
    
	% Compute mapped data
	mappedX = X * M;
    
    % Store mapping for the out-of-sample extension
    mapping.M = M;